Vanna is a critical yet often overlooked Greek that measures the sensitivity of an option’s delta to changes in implied volatility. As implied volatility rises, Vanna causes the delta of out-of-the-money options to increase, forcing market makers to adjust their hedges by buying or selling the underlying asset.
This dynamic can significantly influence market liquidity and price movements, particularly during periods of heightened volatility. Understanding Vanna’s role is essential for effectively managing risk and capitalizing on trading opportunities
